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"We have to be active. We have to protest. . . . I will yell and I will scream louder," she said to sustained applause." I will hold you, and we will hold each other, and we will peaceably protest this state."

She also mentioned the story of a boy she talked to shortly after arriving in the state a few days before the show. He told her that his home had been raided due to a parking ticket, and that his brother had been hauled off by authorities during the search.

"It's really unfair and it's really disgusting. I think it's important that people understand that it's a state of emergency for this place and this state," she said.

But Gaga, who performed with "Stop SB 1070" written on her left forearm, stopped short of embracing a boycott of the state that's being advocated by other artists, such as Kanye West, Rage Against the Machine and Sonic Youth.

Rock Stars: Then and Now

"I got a phone call from a couple of really big rock and rollers, big pop stars, big rap artists, and they said, 'We'd like you to boycott Arizona...because of SB 1070'," which is the formal name of the law.

"I said, 'Do you really think that us dumb (expletive) pop stars are going to collapse the economy of Arizona?" she added.

A federal judge blocked some of the more controversial aspects of the law, which is designed to curtail the flow of illegal immigrants into the state, from taking effect last week. However, Jan Brewer, the governor of the state, plans to appeal that decision.